The speculative efficiency of the aluminum market: A nonlinear investigation (notice n° 594049)
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| fixed length control field | 02781cam a2200253 4500500 |
| 005 - DATE AND TIME OF LATEST TRANSACTION | |
| control field | 20250121150735.0 |
| 041 ## - LANGUAGE CODE | |
| Language code of text/sound track or separate title | fre |
| 042 ## - AUTHENTICATION CODE | |
| Authentication code | dc |
| 100 10 - MAIN ENTRY--PERSONAL NAME | |
| Personal name | Arouri, Mohamed El Hédi |
| Relator term | author |
| 245 00 - TITLE STATEMENT | |
| Title | The speculative efficiency of the aluminum market: A nonlinear investigation |
| 260 ## - PUBLICATION, DISTRIBUTION, ETC. | |
| Date of publication, distribution, etc. | 2012.<br/> |
| 500 ## - GENERAL NOTE | |
| General note | 71 |
| 520 ## - SUMMARY, ETC. | |
| Summary, etc. | RésuméL’objet de cet article est d’étudier l’hypothèse d’efficience spéculative du marché de l’aluminium londonien sur une période de plus de trois décennies. A cette fin, nous recourons aux techniques de cointégration linéaire et non-linéaire et étudions l’hypothèse d’efficience à court et long terme. Nous mettons en évidence l’existence d’une relation de cointégration entre le prix spot et le prix futures et rejetons l’hypothèse de neutralité vis-à-vis du risque. Nous ne validons pas l’hypothèse d’efficience à court terme et montrons que l’utilisation de l’information passée permet d’améliorer la prévision des rentabilités futures. Cet article fournit, à notre connaissance, le premier essai d’étude de l’hypothèse d’efficience du marché de l’aluminium dans un cadre non-linéaire, et nos résultats ont plusieurs implications pour les producteurs, investisseurs et responsables politiques.Classification JEL : C3 ; C5 ; G1. |
| 520 ## - SUMMARY, ETC. | |
| Summary, etc. | This paper studies the speculative efficiency of the aluminum contract traded in the London Metal Exchange over the last three decades. We investigate both short and long-run efficiency using linear and nonlinear cointegration approaches and Error Correction Models (ECM). Our findings point out the following points. First, futures aluminum prices are found to be cointegrated with spot prices and they do not constitute unbiased predictors of future spot prices. Second, the hypothesis of risk neutrality is rejected. Finally, the short-run efficiency hypothesis is rejected and using past futures price returns improves the modelling and forecast of future spot price. Our findings have important implications for producers, arbitrageurs, speculators as well as policymakers. As far as our knowledge allows to remember, this paper is the first attempt to test both linear and nonlinear efficiency for the aluminum market. JEL Classification: C3; C5; G1. |
| 690 ## - LOCAL SUBJECT ADDED ENTRY--TOPICAL TERM (OCLC, RLIN) | |
| Topical term or geographic name as entry element | efficience spéculative |
| 690 ## - LOCAL SUBJECT ADDED ENTRY--TOPICAL TERM (OCLC, RLIN) | |
| Topical term or geographic name as entry element | marché de l'aluminium |
| 690 ## - LOCAL SUBJECT ADDED ENTRY--TOPICAL TERM (OCLC, RLIN) | |
| Topical term or geographic name as entry element | london metal exchange |
| 690 ## - LOCAL SUBJECT ADDED ENTRY--TOPICAL TERM (OCLC, RLIN) | |
| Topical term or geographic name as entry element | speculative efficiency |
| 690 ## - LOCAL SUBJECT ADDED ENTRY--TOPICAL TERM (OCLC, RLIN) | |
| Topical term or geographic name as entry element | aluminum market |
| 700 10 - ADDED ENTRY--PERSONAL NAME | |
| Personal name | Jawadi, Fredj |
| Relator term | author |
| 700 10 - ADDED ENTRY--PERSONAL NAME | |
| Personal name | Mouak, Prosper |
| Relator term | author |
| 786 0# - DATA SOURCE ENTRY | |
| Note | Économie internationale | 126 | 2 | 2012-05-01 | p. 73-90 | 1240-8093 |
| 856 41 - ELECTRONIC LOCATION AND ACCESS | |
| Uniform Resource Identifier | <a href="https://shs.cairn.info/revue-economie-internationale-2011-2-page-73?lang=fr&redirect-ssocas=7080">https://shs.cairn.info/revue-economie-internationale-2011-2-page-73?lang=fr&redirect-ssocas=7080</a> |
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